Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/25142
Título: | Money demand in the euro area, the US and the UK : assessing the role of nonlinearity |
Autor(es): | Jawadi, Fredj Sousa, Ricardo M. |
Palavras-chave: | Money demand Smooth transition Quantile regression |
Data: | 2013 |
Editora: | Elsevier 1 |
Revista: | Economic modelling |
Resumo(s): | This paper estimates money demand equations for the euro area, the US and the UK using a quantile regression framework and a smooth-transition regression. The quantile regression technique highlights that: (i) the income and the interest rate semi-elasticities are significantly different from the OLS estimates at the tails of the distribution of real money holdings; and (ii) the sensitivity of money demand with respect to inflation tends to be larger when real money holdings are extremely low. Finally, the smooth transition model provides two interesting findings. On the one hand, they capture reasonably well the nonlinear dynamics associated with the money demand function. On the other hand, they show that the elasticity of money demand with respect to inflation rate, interest rate, GDP and exchange rate varies not only in accordance with the regime considered, but also across the countries under consideration. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/25142 |
DOI: | 10.1016/j.econmod.2013.02.009 |
ISSN: | 0264-9993 |
Versão da editora: | http://www.sciencedirect.com/science/article/pii/S026499931300059X# |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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FJawadi.RSousa_ Money demand in the euro area.pdf Acesso restrito! | Money demand in the euro area, the US and the UK | 5,41 MB | Adobe PDF | Ver/Abrir |